题目:Asset Returns with Earning Management
演讲人:Bo Sun (University of Virginia)
时间：3月17日周二10:00-11:30am
地点:成人直播新楼217教室
摘要：The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic revelations of the firm’s underlying profitability. The return process generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering, asymmetric volatility, and excessive idiosyncratic volatility.
附演讲人简历
